Estimating Kramers-Moyal coefficients in short and non-stationary data sets

DOI10.1016/J.PHYSLETA.2005.10.066MaRDI QIDQ973467zbMATHOpenAlexFDO

Authors A. Daffertshofer, P. J. Beek, Anke M. van Mourik

Publication date 2 June 2010

Published in Physics Letters. A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physleta.2005.10.066

zbMATH Keywords

stochastic processesnon-stationary processesKramers-Moyal expansion

Mathematics Subject Classification ID

Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)

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Cites work

• Analysis of data sets of stochastic systems
• Brownian motors: noisy transport far from equilibrium
• Diffusion of Periodically Forced Brownian Particles Moving in Space-Periodic Potentials
• Experimental indications for Markov properties of small-scale turbulence
• Identifying noise sources of time-delayed feedback systems
• Reconstruction of dynamical equations for traffic flow
• Statistical properties of a turbulent cascade
• The Fokker-Planck equation. Methods of solution and applications.

Cited in

(7)

• RECONSTRUCTION OF THE DETERMINISTIC DYNAMICS OF STOCHASTIC SYSTEMS
• The Kramers-Moyal expansion of the master equation that describes human migration in a bounded domain
• A data-analysis method for identifying differential effects of time-delayed feedback forces and periodic driving forces in stochastic systems
• Finite sampling interval effects in Kramers-Moyal analysis
• Kernel-based regression of drift and diffusion coefficients of stochastic processes
• Data-driven inference for stationary jump-diffusion processes with application to membrane voltage fluctuations in pyramidal neurons
• Stochastic physics-informed neural ordinary differential equations

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